The rule in plain words
Total negative unweighted delta senitivities of FX risk
In Market risk: ASA foreign exchange risk (AS7 FX) (OF91.07.01.01): every value in 35 rows (listed below) in column "Negative" (column 0020) must be zero or less.
What to do if your return fails it
- 01Open the table below and find the cells the rule reads.
- 02Compare the values in your return. If the first is bigger than it may be, one of them is wrong: check both before you change either.
- 03It runs only when your filing indicators mark OF91.07.01 as reported.
- 04This is a blocking check. A return that fails it is normally rejected, so fix it before you submit.
The cells it reads
Market risk: ASA foreign exchange risk (AS7 FX) (OF91.07.01.01)
Rows
- R0010Total Foreign exchange (FX)
- R0020USD
- R0030EUR
- R0040JPY
- R0050GBP
- R0060AUD
- R0070CAD
- R0080SEK
- R0090HKD
- R0100CHF
- R0110NZD
- R0120KRW
- R0130SGD
- R0140MXN
- R0150NOK
- R0160ZAR
- R0170DKK
- R0180ILS
- R0190CNY
- R0200RUB
- R0210TRY
- R0220BRL
- R0230SAR
- R0240COP
- R0250PEN
- R0260AED
- R0270INR
- R0280PLN
- R0290TWD
- R0300HUF
- R0310MYR
- R0320CZK
- R0330THB
- R0340CLP
- R0350IDR
Column
- C0020Negative
Which returns it applies to
Line4 Check runs it on the own funds (PRA001) return on Bank of England banking taxonomy 4.1.1. The Bank of England applies it to own funds (PRA001) returns, as a blocking check.
The Bank’s own words and formula
The first paragraph of the plain words above is the Bank of England’s own, word for word, from its list of validations. The second spells out its formula, with each cell named from its templates.
Show the formulaShowHide
The Bank of England's formula. Cells are written as {t: table, r: row, c: column}.
{t: OF91.07.01.01, r: 0010; 0020; 0030; 0040; 0050; 0060; 0070; 0080; 0090; 0100; 0110; 0120; 0130; 0140; 0150; 0160; 0170; 0180; 0190; 0200; 0210; 0220; 0230; 0240; 0250; 0260; 0270; 0280; 0290; 0300; 0310; 0320; 0330; 0340; 0350, c: 0020} <= 0Other rules on Market risk: ASA foreign exchange risk (AS7 FX) (OF91.07.01.01)
- Market risk: ASA foreign exchange risk (AS7 FX): total positive unweighted delta senitivities of FX risk (boe_b0423)Blocking
- Market risk: ASA foreign exchange risk (AS7 FX): total net sensitivites of FX risk (boe_b0704)Blocking
- The total owns funds requirement under each scenario is the sum of delta, vega and curvature risk requirements (boe_b0705)Blocking
- The total owns funds requirement under each scenario is the sum of delta, vega and curvature risk requirements (boe_b0707)Blocking
- The total owns funds requirement under each scenario is the sum of delta, vega and curvature risk requirements (boe_b0709)Blocking
- Market risk: ASA foreign exchange risk (AS7 FX): values must agree (boe_b0937)
Every PRA banking rule on OF91.07.01.01
Checks like this one, run at the point of submission, are the first step to real-time supervision. Line4 builds SupTech software for financial regulators that runs checks like these as each return arrives.